Option Pricing

Options (or Derivatives in general) are instruments whose payoffs depend on the movement of underlying assets. The value of the derivative instrument, therefore, can be evaluated by creating and valuing a portfolio of assets whose prices are easily observed in the market and whose cash flows replicate those of the options.

The methodologies used to price a derivative security may vary from closed form solutions such as the Black-Scholes option pricing formula, to numerical methods such as the binomial trees and Monte Carlo simulation.

Our Option pricing guides cover vanilla options, exotics, interest rate derivatives & cross currency swaps. We use Monte Carlo Simulation for exotics, Black Scholes for intuition, Binomial trees for American options & forward and zero curves for interest rate derivatives

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Premium Courses:

  1. Derivatives Terminology Crash Course
  2. Derivative Products
  3. Derivative Products – Package
  4. Derivative Pricing – Binomial Trees EXCEL Example
  5. Derivative Pricing – Binomial Trees – Efficient Approach
  6. Forward Prices, Forward Rates and Forward Rate Agreements (FRA) – EXCEL Example
  7. Forward Prices and Forward Rates – Calculation reference & detailed examples
  8. Forward Prices, Spot Rates & Forward Rates, Yield-to-Maturity, Forward Rate Agreements (FRA), Forward Contracts and Forward Exchange Rates
  9. Monte Carlo Simulation – Equity – Example
  10. Monte Carlo Simulation – Commodity – Example
  11. Monte Carlo Simulation – Currency – Example
  12. Monte Carlo Simulation – Package
  13. Monte Carlo Simulator with Historical Returns
  14. Pricing IRS – Module I – Term Structures
  15. Pricing IRS – Module I – Term Structures EXCEL Example
  16. Pricing IRS – Module II – IRS and CCS
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  18. Pricing Interest Rate Options – Module III
  19. Pricing Interest Rate Options – Module III EXCEL Example
  20. Pricing Ladder Options using a Monte Carlo Simulator
  21. Pricing Interest Rate Swaps and Interest Rate Options – Package
  22. Valuing Options – Black Scholes Example
  23. Valuing Options – Binomial Tree – Traditional Approach – EXCEL Example

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